For illustration, consider (as slight modification of) the problem of inter-bank borrowing and lending studied by [1]}.
In the systemic risk model proposed by these authors, bank i's reserve is given by the dynamics
\(dX^i_t =a\Big (\frac{1}{N}\sum _{j=1}^NX^j_t -X^i_t \Big ) + \alpha ^i_t\, dt + \sigma \,dW^i_t\) 
